Time-varying fractionally integrated processes with finite or infinite variance and nonstationary long memory
DOI10.1007/S10440-007-9090-5zbMATH Open1116.62088OpenAlexW2008628416MaRDI QIDQ996717FDOQ996717
Authors: Kristina Bružaitė, Donatas Surgailis, Marijus Vaičiulis 
Publication date: 19 July 2007
Published in: Acta Applicandae Mathematicae (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10440-007-9090-5
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Cites Work
- Time series: theory and methods.
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- The Invariance Principle for Stationary Processes
- Fractional ARIMA with stable innovations
- Weighted sums of i.i.d. random variables attracted to integrals of stable processes
- Weak convergence of sums of moving averages in the \(\alpha\)-stable domain of attraction
- Limit theorems for sums of linearly generated random variables
- Title not available (Why is that?)
- Time-Varying Fractionally Integrated Processes with Nonstationary Long Memory
- Invariance principle for a class of non stationary processes with long memory
- Almost periodically correlated processes with long memory
Cited In (9)
- Time-Varying Fractionally Integrated Processes with Nonstationary Long Memory
- Asymptotics of partial sums of linear processes with changing memory parameter
- Fractional Cox-Ingersoll-Ross process with non-zero ``mean
- Aggregation of random-coefficient AR(1) process with infinite variance and common innovations
- Fractional differencing and long memory processes
- Randomly fractionally integrated processes
- Modelling long-memory time series with finite or infinite variance: a general approach
- Fractionally Integrated Moving Average Stable Processes With Long-Range Dependence
- Nonhomogeneous fractional integration and multifractional processes
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